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[FEAT] Automatic Statistical Forecasting #3317

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merged 23 commits into from
Nov 13, 2022

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AzulGarza
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@AzulGarza AzulGarza commented Nov 4, 2022

Description

This PR adds the autoselect command to perform automatic statistical forecasting. The command fits a set of statistical models and evaluates them to select the best-performing model. Forecasts are generated using the best model.

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  • Summary of the change / bug fix.
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How has this been tested?

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  • I have performed a self-review of my own code.
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@DidierRLopes DidierRLopes added the feat XS Extra small feature label Nov 5, 2022
@martinb-ai
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@FedericoGarza This is quite cool! Thanks so much for this!

Thinking about user experience and look now:

  • Could we maybe think of a better name for the command? autostatsforecast is not really descriptive. Especially when this is already the forecast menu and the command is under timeseries forecasting. This is doing a model selection for the users, so think about how you want to name that 😄
  • make the command string shorter
  • the description should be a little more summarized so it can fit on a single line: Here is how it looks on my pc at the moment.

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Also somewhat unrelated: When I did not make a new env and just pulled changes to run I got the following:
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This is completely resolved with creating an new env and updating all libs. I know many users do not update their lib every time they pull latest from the repo. Do you think we can add in a try catch on your imports to allow users to still run the menu in case they havent updated and give them a warning message to update their env for statsforecast dependancies?
Something to think about :)

Thanks so much for this! Looking forward to get this in the menu

@AzulGarza
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hey @martinb-bb! Thanks for reviewing the PR. I've updated the name of the command to beststatsmodel. I've also included the try-except behavior you proposed. Let me know what you think. Thank you! :)

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@martinb-ai
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martinb-ai commented Nov 8, 2022

@FedericoGarza as discussed, changing beststatsmodel --> autoselect

Then ready to merge :)

@AzulGarza
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hey @martinb-bb! I've changed the name of the command to autoselect :)

@martinb-ai martinb-ai merged commit d56eedc into OpenBB-finance:main Nov 13, 2022
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4 participants